N-Q 1 d93388dnq.htm BLACKROCK HEALTH SCIENCES TRUST BlackRock Health Sciences Trust

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-21702

Name of Fund: BlackRock Health Sciences Trust (BME)

Fund Address: 100 Bellevue Parkway, Wilmington, DE 19809

Name and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Health Sciences Trust, 55 East 52nd Street, New York, NY 10055

Registrant’s telephone number, including area code: (800) 882-0052, Option 4

Date of fiscal year end: 12/31/2015

Date of reporting period: 09/30/2015


Item 1 – Schedule of Investments


Schedule of Investments September 30, 2015 (Unaudited)      BlackRock Health Sciences Trust (BME)   
     (Percentages shown are based on Net Assets)   

 

Common Stocks   Shares     Value  

Biotechnology — 24.7%

   

ACADIA Pharmaceuticals, Inc. (a)(b)

    10,000      $ 330,700   

Acceleron Pharma, Inc. (a)(b)

    25,500        634,950   

Actelion Ltd.

    11,300        1,436,185   

Alder Biopharmaceuticals, Inc. (a)(b)

    14,600        478,296   

Alexion Pharmaceuticals, Inc. (a)(b)

    40,660        6,358,817   

Alkermes PLC (a)(b)

    38,700        2,270,529   

Alnylam Pharmaceuticals, Inc. (a)(b)

    5,118        411,282   

Amgen, Inc. (b)

    43,322        5,992,299   

Anacor Pharmaceuticals, Inc. (a)(b)

    34,800        4,096,308   

Aquinox Pharmaceuticals, Inc. (a)

    14,100        198,387   

Axovant Sciences Ltd. (a)

    12,200        157,624   

Baxalta, Inc. (b)

    78,300        2,467,233   

Biogen, Inc. (a)(b)

    20,595        6,009,827   

BioMarin Pharmaceutical, Inc. (a)(b)

    13,300        1,400,756   

Celgene Corp. (a)(b)

    101,786        11,010,192   

Cellectis SA — ADR (a)

    8,600        226,696   

Cidara Therapeutics, Inc. (a)

    2,540        32,309   

Clovis Oncology, Inc. (a)(b)

    11,500        1,057,540   

Dyax Corp. (a)(b)

    66,327        1,266,182   

Genomic Health, Inc. (a)

    24,100        509,956   

Gilead Sciences, Inc. (b)

    54,400        5,341,536   

Global Blood Therapeutics, Inc. (a)

    9,400        396,304   

Incyte Corp. (a)(b)

    13,800        1,522,554   

Infinity Pharmaceuticals, Inc. (a)

    49,900        421,655   

Inotek Pharmaceuticals Corp. (a)

    27,996        263,162   

Intercept Pharmaceuticals, Inc. (a)(b)

    6,100        1,011,746   

Isis Pharmaceuticals, Inc. (a)(b)

    36,100        1,459,162   

Medivation, Inc. (a)

    52,900        2,248,250   

Neurocrine Biosciences, Inc. (a)(b)

    33,362        1,327,474   

Otonomy, Inc. (a)

    9,000        160,290   

Pronai Therapeutics, Inc. (a)

    4,100        84,132   

ProNAi Therapeutics, Inc. (Acquired 7/16/15,
cost $272,600) (a)(c)

    54,596        1,064,294   

PTC Therapeutics, Inc. (a)

    18,200        485,940   

Regeneron Pharmaceuticals, Inc. (a)(b)

    8,158        3,794,612   

REGENXBIO, Inc. (Acquired 5/14/15,
cost $343,081) (a)(c)

    35,850        750,287   

Sage Therapeutics, Inc. (a)

    5,742        243,001   

Sarepta Therapeutics, Inc. (a)(b)

    29,200        937,612   

Seattle Genetics, Inc. (a)(b)

    13,367        515,432   

Seres Therapeutics, Inc. (a)(d)

    16,300        483,132   

Seres Therapeutics, Inc. (Acquired 6/26/15,
cost $251,900) (a)(c)

    20,710        583,152   

Spark Therapeutics, Inc. (a)(b)

    7,521        313,851   

Ultragenyx Pharmaceutical, Inc. (a)(b)

    19,015        1,831,335   

Vertex Pharmaceuticals, Inc. (a)(b)

    29,405        3,062,237   

Zafgen, Inc. (a)(b)

    11,000        351,450   
   

 

 

 
              74,998,668   

Electronic Equipment, Instruments & Components — 0.5%

  

 

FEI Co.

    20,200        1,475,408   
Common Stocks   Shares     Value  

Health Care Equipment & Supplies — 18.9%

   

Abbott Laboratories (b)

    182,600      $ 7,344,172   

AtriCure, Inc. (a)

    8,962        196,357   

Baxter International, Inc. (b)

    10,400        341,640   

Becton Dickinson and Co. (b)

    38,333        5,085,256   

Boston Scientific Corp. (a)(b)

    490,200        8,044,182   

CONMED Corp.

    12,900        615,846   

Cooper Cos., Inc. (b)

    19,600        2,917,656   

CR Bard, Inc. (b)

    10,300        1,918,993   

DexCom, Inc. (a)(b)

    15,300        1,313,658   

Edwards Lifesciences Corp. (a)

    20,899        2,971,211   

Endologix, Inc. (a)

    46,412        569,011   

Insulet Corp. (a)(b)

    15,900        411,969   

Intuitive Surgical, Inc. (a)(b)

    3,300        1,516,614   

Masimo Corp. (a)

    35,700        1,376,592   

Medtronic PLC (b)

    152,413        10,202,526   

St. Jude Medical, Inc. (b)

    79,500        5,015,655   

Stryker Corp. (b)

    70,600        6,643,460   

Thoratec Corp. (a)

    12,500        790,750   
   

 

 

 
              57,275,548   

Health Care Providers & Services — 18.5%

   

Aetna, Inc. (b)

    31,211        3,414,796   

Amedisys, Inc. (a)(b)

    36,200        1,374,514   

AmerisourceBergen Corp. (b)

    21,200        2,013,788   

Anthem, Inc. (b)

    48,800        6,832,000   

Cardinal Health, Inc. (b)

    43,030        3,305,565   

Cigna Corp. (b)

    37,100        5,009,242   

Express Scripts Holding Co. (a)(b)

    28,776        2,329,705   

HCA Holdings, Inc. (a)(b)

    52,494        4,060,936   

HealthEquity, Inc. (a)(b)

    18,200        537,810   

Humana, Inc. (b)

    9,800        1,754,200   

McKesson Corp. (b)

    40,700        7,530,721   

Teladoc, Inc. (a)(d)

    20,200        450,258   

UnitedHealth Group, Inc. (b)

    108,302        12,564,115   

Universal Health Services, Inc., Class B (b)

    34,300        4,280,983   

Wellcare Health Plans, Inc. (a)

    7,600        654,968   
   

 

 

 
              56,113,601   

Health Care Technology — 0.4%

   

Cerner Corp. (a)(b)

    17,800        1,067,288   

Life Sciences Tools & Services — 2.6%

   

Bio-Rad Laboratories, Inc. (a)(b)

    4,800        644,688   

Charles River Laboratories International, Inc. (a)

    49,000        3,112,480   

Illumina, Inc. (a)(b)

    5,000        879,100   

Thermo Fisher Scientific, Inc.

    26,700        3,264,876   
   

 

 

 
              7,901,144   

Pharmaceuticals — 28.3%

   

AbbVie, Inc. (b)(e)

    97,686        5,315,095   

Allergan PLC (a)(b)

    26,125        7,101,036   
 
      Portfolio Abbreviations
ADR    American Depositary Receipt      GBP    British Pound    USD    U.S. Dollar
CHF    Swiss Franc      HKD    Hong Kong Dollar      
EUR    Euro      JPY    Japanese Yen      

 

          SEPTEMBER 30, 2015    1


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Common Stocks    Shares      Value  

Pharmaceuticals (continued)

     

AstraZeneca PLC

     68,800       $ 4,363,185   

Bristol-Myers Squibb Co. (b)

     130,030         7,697,776   

Cempra, Inc. (a)(b)

     24,800         690,432   

Chugai Pharmaceutical Co. Ltd.

     43,700         1,342,168   

Dermira, Inc. (a)

     16,600         387,444   

Eli Lilly & Co. (b)

     125,000         10,461,250   

Intra-Cellular Therapies, Inc. (a)(b)

     55,081         2,205,443   

Jazz Pharmaceuticals PLC (a)(b)

     5,000         664,050   

Johnson & Johnson (b)

     49,370         4,608,690   

Mallinckrodt PLC (a)(b)

     24,843         1,588,461   

Merck & Co., Inc. (b)

     93,200         4,603,148   

Mylan NV (a)(b)

     79,000         3,180,540   

Nektar Therapeutics (a)(b)

     105,400         1,155,184   

Novartis AG

     50,000         4,595,594   

Novartis AG — ADR (b)

     17,900         1,645,368   

Perrigo Co. PLC (b)

     7,402         1,164,113   

Pfizer, Inc. (b)

     108,000         3,392,280   

Phibro Animal Health Corp., Class A

     22,600         714,838   

Roche Holding AG

     11,600         3,079,470   

Sanofi — ADR (b)

     13,700         650,339   

Shire PLC — ADR (b)

     16,000         3,283,680   

Teva Pharmaceutical Industries Ltd. — ADR (b)

     87,100         4,917,666   

UCB SA

     12,300         963,621   

Valeant Pharmaceuticals International, Inc. (a)(b)

     25,700         4,584,366   

Zoetis, Inc. (b)

     37,000         1,523,660   
     

 

 

 
                85,878,897   

Total Common Stocks — 93.9%

              284,710,554   
     
Preferred Stocks                

Biotechnology — 1.3%

     

Acerta Pharma BV, Series B (Acquired 5/6/15,
cost $2,192,004), 0.00% (a)(c)

     190,609         2,192,004   

Afferent Pharmaceuticals, Inc., Series C (Acquired 6/30/15, cost $466,520), 0.00% (a)(c)

     190,160         466,520   

Corvus Pharmaceuticals, Inc. (Acquired 9/11/15,
cost $297,937), 0.00% (a)(c)

     21,266         297,937   
Preferred Stocks    Shares      Value  

Biotechnology (continued)

     

CytomX Therapeutics, Inc., Series D (Acquired 6/11/15, cost $262,220), 0.00% (a)(c)

     1,767,672       $ 399,494   

Intellia Therapeutics, Inc. (Acquired 8/19/15,
cost $248,566), 0.00% (a)(c)

     47,346         248,566   

Ovid Therapeutics, Inc. (Acquired 8/7/15,
cost $503,165), 0.00% (a)(c)

     80,765         503,165   
     

 

 

 
                4,107,686   

Pharmaceuticals — 0.2%

     

Syndax Pharmaceuticals, Inc. (Acquired 8/19/15, cost $495,693), 0.00% (a)(c)

     44,286         495,693   

Total Preferred Stocks — 1.5%

  

     4,603,379   

Total Long-Term Investments

(Cost — $210,499,023) — 95.4%

  

  

     289,313,933   
     
Short-Term Securities                

BlackRock Liquidity Funds, TempFund, Institutional Class, 0.10% (f)(g)

     12,275,618         12,275,618   
     

 

Beneficial
Interest
(000)

         

BlackRock Liquidity Series, LLC Money Market Series, 0.26% (f)(g)(h)

   $ 302         301,918   

Total Short-Term Securities

(Cost — $12,577,536) — 4.2%

  

  

     12,577,536   

Total Investments Before Options Written

(Cost — $223,076,559*) — 99.6%

  

  

     301,891,469   
     
Options Written                

(Premiums Received — $2,605,413) — (0.3)%

              (879,806

Total Investments Net of Options Written — 99.3%

  

     301,011,663   

Other Assets Less Liabilities — 0.7%

        2,203,593   
     

 

 

 

Net Assets — 100.0%

      $ 303,215,256   
     

 

 

 
 
      Notes to Schedule of Investments

 

* As of period end, gross unrealized appreciation and depreciation based on cost for federal income tax purposes were as follows:

 

Tax cost

   $ 224,543,087   
  

 

 

 

Gross unrealized appreciation

   $ 84,093,162   

Gross unrealized depreciation

     (6,744,780
  

 

 

 

Net unrealized appreciation

   $ 77,348,382   
  

 

 

 

 

(a) Non-income producing security.

 

(b) All or a portion of security has been pledged and/or segregated as collateral in connection with outstanding exchange-traded options written.

 

(c) Restricted securities as to resale, excluding 144A securities. As of period end, the Trust held restricted securities with a current value of $7,001,112 and an original cost of $5,333,686 which was 2.3% of its net assets.

 

(d) Security, or a portion of security, is on loan.

 

(e) All or a portion of security has been pledged as collateral in connection with outstanding OTC derivatives.

 

(f) Represents the current yield as of report date.

 

(g) During the period ended September 30, 2015, investments in issuers considered to be affiliates of the Trust for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:

 

 

2         SEPTEMBER 30, 2015     


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Affiliates   

Shares

Held at
December 31, 2014

     Net
Activity
     Shares/
Beneficial Interest
Held at
September 30,
2015
     Income  

BlackRock Liquidity Funds, TempFund, Institutional Class

     3,271,616         9,004,002         12,275,618       $ 4,991   

BlackRock Liquidity Series, LLC Money Market Series

                   $ 301,918       $ 3,137 1 

 

  1  

Represents securities lending income earned from the reinvestment of cash collateral from loaned securities, net of fees, and collateral investment expenses, and other payments to and from borrowers of securities.

 

(h) Security was purchased with the cash collateral from loaned securities. The Trust may withdraw up to 25% of its investment daily, although the manager of the BlackRock Liquidity Series LLC, Money Market Series, in its sole discretion, may permit an investor to withdraw more than 25% on any one day.

 

 

For Trust compliance purposes, the Trust’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by the investment advisor. These definitions may not apply for purposes of this report, which may combine industry sub-classifications for reporting ease.

 

      Derivative Financial Instruments Outstanding as of Period End

      Exchange-Traded Options Written

 

Description    Put/
Call
    

Strike

Price

     Expiration
Date
   Contracts      Value  

AbbVie, Inc.

     Call         USD         64.00       10/02/15      130       $ (650

Aetna, Inc.

     Call         USD         121.00       10/02/15      27         (351

Alexion Pharmaceuticals, Inc.

     Call         USD         190.00       10/02/15      33         (330

Allergan PLC

     Call         USD         310.00       10/02/15      22         (110

Amgen, Inc.

     Call         USD         162.50       10/02/15      25         (125

Anthem, Inc.

     Call         USD         146.00       10/02/15      75         (1,950

Biogen, Inc.

     Call         USD         322.50       10/02/15      37         (1,850

Celgene Corp.

     Call         USD         136.00       10/02/15      143         (715

Eli Lilly & Co.

     Call         USD         86.50       10/02/15      111         (2,775

Express Scripts Holding Co.

     Call         USD         91.50       10/02/15      18         (90

Gilead Sciences, Inc.

     Call         USD         112.00       10/02/15      45         (292

Isis Pharmaceuticals, Inc.

     Call         USD         54.50       10/02/15      93         (1,860

Medtronic PLC

     Call         USD         77.50       10/02/15      4         (16

Mylan NV

     Call         USD         50.50       10/02/15      135         (945

Shire PLC — ADR

     Call         USD         230.00       10/02/15      40         (2,000

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         70.00       10/02/15      35         (105

UnitedHealth Group, Inc.

     Call         USD         119.00       10/02/15      85         (2,762

AbbVie, Inc.

     Call         USD         64.00       10/09/15      127         (1,270

Aetna, Inc.

     Call         USD         123.00       10/09/15      28         (630

Amgen, Inc.

     Call         USD         157.50       10/09/15      32         (448

Biogen, Inc.

     Call         USD         317.50       10/09/15      32         (3,760

Bristol-Myers Squibb Co.

     Call         USD         60.00       10/09/15      90         (10,980

Eli Lilly & Co.

     Call         USD         82.50       10/09/15      115         (28,922

HCA Holdings, Inc.

     Call         USD         89.00       10/09/15      90         (1,350

Medtronic PLC

     Call         USD         72.00       10/09/15      234         (3,159

Pfizer, Inc.

     Call         USD         34.00       10/09/15      9         (54

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         64.50       10/09/15      55         (770

UnitedHealth Group, Inc.

     Call         USD         116.00       10/09/15      77         (19,673

Zoetis, Inc.

     Call         USD         47.00       10/09/15      55         (1,375

AmerisourceBergen Corp.

     Call         USD         108.00       10/12/15      37         (52

Dyax Corp.

     Call         USD         23.33       10/15/15      55         (205

Abbott Laboratories

     Call         USD         45.00       10/16/15      186         (930

AbbVie, Inc.

     Call         USD         62.50       10/16/15      127         (1,270

ACADIA Pharmaceuticals, Inc.

     Call         USD         44.00       10/16/15      35         (1,575

Alder Biopharmaceuticals, Inc.

     Call         USD         45.00       10/16/15      50         (750

Alexion Pharmaceuticals, Inc.

     Call         USD         180.00       10/16/15      73         (3,285

Alexion Pharmaceuticals, Inc.

     Call         USD         190.00       10/16/15      36         (1,620

Alkermes PLC

     Call         USD         80.00       10/16/15      75         (2,250

Allergan PLC

     Call         USD         320.01       10/16/15      46         (787

Alnylam Pharmaceuticals, Inc.

     Call         USD         120.00       10/16/15      27         (1,350

Amedisys, Inc.

     Call         USD         41.00       10/16/15      90         (4,410

Amedisys, Inc.

     Call         USD         45.00       10/16/15      5         (95

Amedisys, Inc.

     Call         USD         47.00       10/16/15      25         (1,050

 

          SEPTEMBER 30, 2015    3


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Description    Put/
Call
    

Strike

Price

     Expiration
Date
   Contracts      Value  

Amgen, Inc.

     Call         USD         160.00       10/16/15      32       $ (128

Anacor Pharmaceuticals, Inc.

     Call         USD         140.00       10/16/15      13         (1,398

Anacor Pharmaceuticals, Inc.

     Call         USD         150.00       10/16/15      100         (5,000

Baxalta, Inc.

     Call         USD         40.00       10/16/15      91         (910

Becton Dickinson and Co.

     Call         USD         140.00       10/16/15      129         (3,870

BioMarin Pharmaceutical, Inc.

     Call         USD         130.00       10/16/15      45         (2,250

Bio-Rad Laboratories, Inc.

     Call         USD         140.00       10/16/15      16         (4,040

Bristol-Myers Squibb Co.

     Call         USD         62.50       10/16/15      350         (23,625

Cardinal Health, Inc.

     Call         USD         85.00       10/16/15      183         (2,745

Celgene Corp.

     Call         USD         125.00       10/16/15      83         (913

Cempra, Inc.

     Call         USD         40.00       10/16/15      100         (3,250

Cerner Corp.

     Call         USD         65.00       10/16/15      60         (750

Cigna Corp.

     Call         USD         145.00       10/16/15      65         (1,300

Clovis Oncology, Inc.

     Call         USD         115.00       10/16/15      50         (2,375

Cooper Cos., Inc.

     Call         USD         155.00       10/16/15      34         (3,060

CR Bard, Inc.

     Call         USD         195.00       10/16/15      18         (2,115

CR Bard, Inc.

     Call         USD         200.00       10/16/15      18         (945

Eli Lilly & Co.

     Call         USD         87.50       10/16/15      111         (8,325

Express Scripts Holding Co.

     Call         USD         87.50       10/16/15      20         (350

Gilead Sciences, Inc.

     Call         USD         115.00       10/16/15      96         (672

Intra-Cellular Therapies, Inc.

     Call         USD         45.00       10/16/15      34         (5,100

Intuitive Surgical, Inc.

     Call         USD         520.00       10/16/15      12         (570

Jazz Pharmaceuticals PLC

     Call         USD         180.00       10/16/15      40         (2,400

Johnson & Johnson

     Call         USD         95.00       10/16/15      12         (1,290

Mallinckrodt PLC

     Call         USD         100.00       10/16/15      68         (2,720

McKesson Corp.

     Call         USD         210.00       10/16/15      75         (1,875

Neurocrine Biosciences, Inc.

     Call         USD         60.00       10/16/15      123         (4,920

Novartis AG — ADR

     Call         USD         100.00       10/16/15      61         (610

Perrigo Co. PLC

     Call         USD         185.00       10/16/15      31         (620

Pfizer, Inc.

     Call         USD         33.00       10/16/15      146         (2,555

Spark Therapeutics, Inc.

     Call         USD         65.00       10/16/15      43         (11,180

St. Jude Medical, Inc.

     Call         USD         70.00       10/16/15      27         (202

Stryker Corp.

     Call         USD         100.00       10/16/15      120         (2,400

UnitedHealth Group, Inc.

     Call         USD         120.00       10/16/15      7         (1,256

Universal Health Services, Inc., Class B

     Call         USD         140.00       10/16/15      57         (2,565

Universal Health Services, Inc., Class B

     Call         USD         145.00       10/16/15      60         (3,000

Valeant Pharmaceuticals International, Inc.

     Call         USD         230.00       10/16/15      55         (825

Vertex Pharmaceuticals, Inc.

     Call         USD         140.00       10/16/15      60         (3,000

Zafgen, Inc.

     Call         USD         40.00       10/16/15      40         (12,400

AbbVie, Inc.

     Call         USD         62.50       10/23/15      12         (180

Amgen, Inc.

     Call         USD         155.00       10/23/15      25         (1,012

Baxter International, Inc.

     Call         USD         37.50       10/23/15      36         (792

Eli Lilly & Co.

     Call         USD         89.00       10/23/15      41         (3,526

Express Scripts Holding Co.

     Call         USD         85.50       10/23/15      40         (2,400

Gilead Sciences, Inc.

     Call         USD         110.00       10/23/15      45         (1,418

HCA Holdings, Inc.

     Call         USD         89.00       10/23/15      90         (4,050

Humana, Inc.

     Call         USD         190.00       10/23/15      17         (3,358

Intercept Pharmaceuticals, Inc.

     Call         USD         210.00       10/23/15      21         (7,980

Merck & Co., Inc.

     Call         USD         54.50       10/23/15      7         (74

Pfizer, Inc.

     Call         USD         33.50       10/23/15      58         (1,102

Regeneron Pharmaceuticals, Inc.

     Call         USD         570.00       10/23/15      41         (2,152

Sarepta Therapeutics, Inc.

     Call         USD         41.50       10/23/15      115         (18,687

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         63.00       10/23/15      67         (1,508

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         66.00       10/23/15      80         (520

UnitedHealth Group, Inc.

     Call         USD         123.00       10/23/15      7         (952

Valeant Pharmaceuticals International, Inc.

     Call         USD         257.50       10/23/15      62         (13,330

Zoetis, Inc.

     Call         USD         45.00       10/23/15      70         (4,375

Amgen, Inc.

     Call         USD         150.00       10/30/15      47         (7,450

Anthem, Inc.

     Call         USD         150.00       10/30/15      89         (16,643

Celgene Corp.

     Call         USD         126.00       10/30/15      44         (1,892

Eli Lilly & Co.

     Call         USD         85.50       10/30/15      59         (13,157

Humana, Inc.

     Call         USD         187.50       10/30/15      18         (5,040

Illumina, Inc.

     Call         USD         220.00       10/30/15      30         (2,850

Johnson & Johnson

     Call         USD         98.00       10/30/15      80         (5,280

Merck & Co., Inc.

     Call         USD         54.00       10/30/15      311         (9,175
  

 

4         SEPTEMBER 30, 2015     


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

Description    Put/
Call
    

Strike

Price

     Expiration
Date
   Contracts      Value  

Pfizer, Inc.

     Call         USD         33.50       10/30/15      77       $ (2,272

UnitedHealth Group, Inc.

     Call         USD         124.00       10/30/15      185         (25,715

Vertex Pharmaceuticals, Inc.

     Call         USD         131.00       10/30/15      60         (6,750

Aetna, Inc.

     Call         USD         119.00       11/06/15      50         (9,250

Celgene Corp.

     Call         USD         120.00       11/06/15      38         (5,700

Express Scripts Holding Co.

     Call         USD         84.00       11/06/15      20         (3,180

Medtronic PLC

     Call         USD         70.50       11/06/15      127         (10,224

Shire PLC — ADR

     Call         USD         225.00       11/06/15      8         (3,040

Teva Pharmaceutical Industries Ltd. — ADR

     Call         USD         62.00       11/06/15      67         (4,120

Incyte Corp.

     Call         USD         130.12       11/17/15      96         (32,476

Seattle Genetics, Inc.

     Call         USD         48.70       11/18/15      50         (1,534

Acceleron Pharma, Inc.

     Call         USD         35.00       11/20/15      100         (48,000

Alkermes PLC

     Call         USD         70.00       11/20/15      75         (9,000

AmerisourceBergen Corp.

     Call         USD         100.00       11/20/15      37         (7,678

BioMarin Pharmaceutical, Inc.

     Call         USD         135.00       11/20/15      45         (12,150

Boston Scientific Corp.

     Call         USD         18.00       11/20/15      600         (13,200

Celgene Corp.

     Call         USD         120.00       11/20/15      38         (8,189

Cooper Cos., Inc.

     Call         USD         160.00       11/20/15      34         (5,270

DexCom, Inc.

     Call         USD         90.00       11/20/15      54         (25,380

HealthEquity, Inc.

     Call         USD         35.00       11/20/15      63         (1,890

Insulet Corp.

     Call         USD         30.50       11/20/15      55         (2,953

Johnson & Johnson

     Call         USD         95.50       11/20/15      80         (14,363

McKesson Corp.

     Call         USD         220.00       11/20/15      75         (2,062

Nektar Therapeutics

     Call         USD         14.00       11/20/15      350         (6,125

Pfizer, Inc.

     Call         USD         34.00       11/20/15      77         (2,426

Sanofi — ADR

     Call         USD         49.00       11/20/15      46         (6,325

Shire PLC — ADR

     Call         USD         225.00       11/20/15      8         (4,160

St. Jude Medical, Inc.

     Call         USD         70.00       11/20/15      27         (1,688

Stryker Corp.

     Call         USD         97.50       11/20/15      130         (25,350

Ultragenyx Pharmaceutical, Inc.

     Call         USD         115.00       11/20/15      70         (30,100

Intra-Cellular Therapies, Inc.

     Put         USD         35.00       10/16/15      44         (4,950

Isis Pharmaceuticals, Inc.

     Put         USD         38.00       10/16/15      41         (7,175

Total

                  $ (708,053
                 

 

 

 

      OTC Options Written

 

Description    Put/
Call
       Counterparty      Expiration
Date
    

Strike

Price

       Contracts        Value  

Novartis AG

     Call         Morgan Stanley & Co. International PLC      10/02/15        CHF         100.60           7,000         $   

St. Jude Medical, Inc.

     Call         Morgan Stanley & Co. International PLC      10/06/15        USD         72.88           10,000             

Actelion Ltd.

     Call         Bank of America N.A.      10/09/15        CHF         140.66           4,000           (308

Boston Scientific Corp.

     Call         Citibank N.A.      10/12/15        USD         17.80           58,400           (2,361

Novartis AG

     Call         UBS AG      10/14/15        CHF         96.26           10,000           (2,347

Phibro Animal Health Corp., Class A

     Call         Morgan Stanley & Co. International PLC      10/15/15        USD         36.25           8,000           (569

Intra-Cellular Therapies, Inc.

     Call         Morgan Stanley & Co. International PLC      10/16/15        USD         45.00           10,000           (15,000

Charles River Laboratories International, Inc.

     Call         Goldman Sachs International      10/20/15        USD         71.90           17,000           (1,966

Seres Therapeutics, Inc.

     Call         Morgan Stanley & Co. International PLC      10/20/15        USD         40.26           5,700           (2,312

AstraZeneca PLC

     Call         Bank of America N.A.      10/27/15        GBP         44.19           6,000           (5,305

Chugai Pharmaceutical Co. Ltd.

     Call         Goldman Sachs International      10/27/15        JPY         4,364.07           19,500           (2,707

Cigna Corp.

     Call         Citibank N.A.      10/30/15        USD         146.78           6,500           (3,058

FEI Co.

     Call         UBS AG      10/30/15        USD         79.89           7,000           (4,956

AstraZeneca PLC

     Call         Morgan Stanley & Co. International PLC      11/04/15        GBP         44.03           5,700           (5,387

Abbott Laboratories

     Call         Citibank N.A.      11/09/15        USD         43.57           24,800           (9,297

Boston Scientific Corp.

     Call         Deutsche Bank AG      11/09/15        USD         16.41           53,000           (39,528

Masimo Corp.

     Call         Deutsche Bank AG      11/09/15        USD         42.12           12,400           (13,398

St. Jude Medical, Inc.

     Call         Citibank N.A.      11/09/15        USD         73.83           1,500           (339

AstraZeneca PLC

     Call         Bank of America N.A.      11/11/15        GBP         42.57           12,000           (21,107

Roche Holding AG

     Call         UBS AG      11/12/15        CHF         254.94           4,000           (41,808

Total

                               $ (171,753
                              

 

 

 

 

 

          SEPTEMBER 30, 2015    5


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

      Fair Value Hierarchy as of Period End

Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes as follows:

 

   

Level 1 — unadjusted price quotations in active markets/exchanges for identical assets or liabilities that the Trust has the ability to access

 

   

Level 2 — other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)

 

   

Level 3 — unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Trust’s own assumptions used in determining the fair value of investments and derivative financial instruments)

The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the fair value hierarchy classification is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Trust’s policy, transfers between different levels of the fair value hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investments and derivative financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust’s policy regarding valuation of investments and derivative financial instruments, refer to the Trust’s most recent financial statements as contained in its semi-annual report.

The following tables summarize the Trust’s investments and derivative financial instruments categorized in the disclosure hierarchy:

 

      Level 1   Level 2   Level 3    Total

Assets:

                 

Investments:

                 

Long-Term Investments:

                 

Common Stocks:

                 

Biotechnology

     $ 71,164,750       $ 3,833,918                $ 74,998,668  

Electronic Equipment, Instruments & Components

       1,475,408                          1,475,408  

Health Care Equipment & Supplies

       57,275,548                          57,275,548  

Health Care Providers & Services

       56,113,601                          56,113,601  

Health Care Technology

       1,067,288                          1,067,288  

Life Sciences Tools & Services

       7,901,144                          7,901,144  

Pharmaceuticals

       71,534,859         14,344,038                  85,878,897  

Preferred Stocks1

                     $ 4,603,379          4,603,379  

Short-Term Securities

       12,275,618         301,918                  12,577,536  
    

 

 

 

Total

     $         278,808,216       $         18,479,874       $         4,603,379        $         301,891,469  
    

 

 

 

1   See above Schedule of Investments for values in each industry.

 

                 
      Level 1   Level 2   Level 3    Total

 

Derivative Financial Instruments2

                 

Liabilities:

                 

Equity contracts

     $ (655,683 )     $ (224,123 )              $ (879,806 )
    

 

 

 

 

2   Derivative financial instruments are options written, which are shown at value.

                 

 

6         SEPTEMBER 30, 2015     


Schedule of Investments (continued)      BlackRock Health Sciences Trust (BME)   

 

A reconciliation of Level 3 investments is presented when the Trust had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:

 

      Common
Stocks
    Preferred
Stocks
    Total  

Assets:

      

Opening Balance, as of December 31, 2014

   $ 251,899      $ 425,376      $ 677,275   

Transfers into Level 3

                     

Transfers out of Level 3

     (251,899     (425,376     (677,275

Accrued discounts/premiums

                     

Net realized gain (loss)

                     

Net change in unrealized appreciation/depreciation

            137,274        137,274   

Purchases

       4,466,105        4,466,105   

Sales

                     
  

 

 

 

Closing Balance, as of September 30, 2015

          $ 4,603,379      $ 4,603,379   
  

 

 

 

Net change in unrealized appreciation/depreciation on investments still held at September 30, 2015

          $ 137,273      $ 137,273   
  

 

 

 

The following table summarizes the valuation techniques used and unobservable inputs utilized by the BlackRock Global Valuation Methodologies Committee (the “Global Valuation Committee”) to determine the value of certain of the Trust’s Level 3 investments as of period end. The table does not include Level 3 investments and derivative financial instruments with values based upon unadjusted third party pricing information in the amount of $4,203,885.

 

      Value      Valuation Techniques    Unobservable
Inputs
   Range of
Unobservable Inputs
Utilized

Assets:

           

Preferred Stocks

   $ 399,494       Other    Midpoint of IPO1    14-16
                   Discount for lockup2    5%

Total

   $ 399,494            
  

 

 

 

1    Increase in unobservable input may result in a significant increase to value, while a decrease in the unobservable input may result in a significant decrease to value.

 

2    Decrease in unobservable input may result in a significant increase to value, while an increase in the unobservable input may result in a significant decrease to value.

The Trust may hold assets and/or liabilities in which the fair value approximates the carrying amount for financial reporting purposes. As of period end, such assets and/or liabilities are categorized within the disclosure hierarchy as follows:

 

      Level 1     Level 2     Level 3      Total  

Assets:

         

Cash

   $ (286,530                  $ (286,530

Foreign currency at value

     93,204                       93,204   

Cash collateral on exchange-traded options written

     325,290                       325,290   

Liabilities:

         

Collateral on securities loaned at value

          $ (301,918             (301,918
  

 

 

 

Total

   $         131,964      $         (301,918             —       $         (169,954
  

 

 

 

During the period ended September 30, 2015, there were no transfers between levels.

 

          SEPTEMBER 30, 2015    7


Item 2 – Controls and Procedures

 

2(a) – The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as amended.

 

2(b) – There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3 – Exhibits

Certifications – Attached hereto


Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BlackRock Health Sciences Trust

 

By:      

    /s/ John M. Perlowski

 
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Health Sciences Trust
Date: November 23, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:      

    /s/ John M. Perlowski

 
  John M. Perlowski
  Chief Executive Officer (principal executive officer) of BlackRock Health Sciences Trust
Date: November 23, 2015
By:  

    /s/ Neal J. Andrews

 
  Neal J. Andrews
  Chief Financial Officer (principal financial officer) of BlackRock Health Sciences Trust
Date: November 23, 2015